Number of shares to be
bought=(MAX(49*1.115-51,0)-MAX(49*0.93-51,0))/(49*1.115-49*0.93)
=0.40099
Question 1 11 pts IBM stock currently sells for 49 dollars per share. Over 12 month(s)...
IBM stock currently sells for 49 dollars per share. Over 12 month(s) the price will either go up by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. If you are short one call option with strike price 51 and maturity 12 months how many shares of stock must you buy to establish a delta-neutral position? 0.22425 0.40099 -0.20075 0.62718
Question 2 11 pts IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go up by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. If you are short one call option with strike price 51 and maturity 12 months, what is the future value in 12 months of a delta-neutral portfolio? O21.908 18.764 20.533 18.273
Question 2 11 pts IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go up by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. If you are short one call option with strike price 51 and maturity 12 months, what is the future value in 12 months of a delta-neutral portfolio? 21.908 18.764 20.533 18.273
IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. If you are short one call option with strike price 51 and maturity 12 months, what is the present value of a delta-neutral portfolio? 10.649 20.944 17.469 19.114
IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go up by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. If you are short one call option with strike price 51 and maturity 12 months, what is the future value in 12 months of a delta-neutral portfolio? 21.908 18.764 20.533 18.273
D Question 5 11 pts IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go by 11.5 percent or down by-7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. What is the delta of a put option with strike price 51 and maturity 12 months? O-0.59901 O0.59901 0.40099 -0.40099
IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. What is the value of a call option with strike price 51 and maturity 12 months? a. 0.12291 b. 1.9353 c. 2.1795 d. 1.3285
IBM stock currently sells for 100 dollars per share. The implied volatility equals 20.0. The risk-free rate of interest is 4.0 percent continuously compounded. What is the value of a call option with strike price 95 and maturity 6 months? Answer should be to the nearest cent (2 decimal places).
Question 12 2 pts A stock is currently selling for $41 per share. A call option with an exercise price of $45 sells for $3.17 and expires in three months. If the risk-free rate of interest is 4.42 % per year, compounded continuously, what is the price of a put option with the same exercise price? (Round answer to 2 decimal places. Do not round intermediate calculations). Topic: Put-Call Parity
Problem 22-6 Put-Call Parity A stock is currently selling for $73 per share. A call option with an exercise price of $77 sells for $3.65 and expires in three months. If the risk-free rate of interest is 3.3 percent per year, compounded continuously, what is the price of a put option with the same exercise price? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Put price